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苏·Xu · 2022年01月13日

NO.PZ2018070201000101

问题如下:

According to the capital asset pricing model, what is the relationship between the market risk premium and the excess market return?

选项:

A.

Market risk premium is less than the excess market return.

B.

Market risk premium equals to the excess market return.

C.

Market risk premium is higher than the excess market return.

解释:

B is correct.

With regard to the capital asset pricing model, the market risk premium equals to the market return minus the risk-free rate, i.e. the the return in excess of the market return.

Excess return 不是阿尔法吗?
1 个答案

Kiko_品职助教 · 2022年01月14日

嗨,努力学习的PZer你好:


阿尔法通常指主动投资获得的收益。这道题要求的是excess“market” return,也就是要求的是market return(Rm)超过CAPM模型中的benchmark(也就是rf)的值。可以看出这个其实就是CAPM里的“Rm-Rf”,也就是market risk premium。所以两个描述的是同一个东西

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